Highly Influenced

@inproceedings{Peng2009ParallelCF, title={Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation}, author={Ying Peng and Bin Gong and Hui Liu and Yanxin Zhang}, booktitle={HPCA}, year={2009} }

- Published 2009 in HPCA
DOI:10.1007/978-3-642-11842-5_44

The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a block allocation algorithm in parallelization, where large communication overhead is avoided. Runtime… CONTINUE READING